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RiskVal Fixed Income (RVFI) Weekly Enhancements - 5/1/20

Key Features in this Release:

  • Added preference to popup the Alert Monitor when new alerts get triggered to let traders use RVFI as a personal trading assistant

  • Allow traders to double click on triggered alerts from the Alert Monitor and RiskVal will instantly bring trader to the sheet/tab and also flash the strategy row for quick decision making

  • Enhanced Sprd/Bfly alert management such that the column layout automatically reflects the corresponding tab layout

  • Added a “Beta dSprd” column to estimate what the expected change of day of the strategy would be based on its correlation to the benchmark

  • Added support for new indices: LBUSTRUU, LBEATREU, DCPB090Y to see the levels of the aggregated total return value unhedged for USD and EUR, and the Dealer Commercial Paper index.

  • Added option to set the Normal Vol type as daily or annual

  • Created an AUD IVSP monitor for AUD bond futures

  • Multiple graphs and Spread graphs are available for invoice spread columns across all currencies

Minor Fixes & Enhancements:


  • [USD] SOFR: Added SOFR vs FF Basis

  • [EUR] ASW Z Spline: created an IT All curve such that traders can use this curve to analyze BTPS against ASW Z RVS and CMT RVS. Apply this change from Global Preferences to update EUR Bond & Sprd/Bfly

TIPS: Updated DV01 column, now based on 1mm notional (previously based on 10k) which is now consistent with the Bond Roll’s DV01

EUR Sprd/Bfly: Allow traders to set Clearing House to EUREX

Market View – Basis Swap: Added FRA/OIS sprd for both EONIA vs EUR 3M basis, as well as SONIA vs GBP 3M basis

Trade Blotter: Matured bonds and expired futures will be removed automatically


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